Subroutines for computing normal probabilities of sets -- computer experiences

DOI10.1023/A:1019215116991MaRDI QIDQ5933852zbMATH OpenOpenAlexFDO

Authors I. Deák

Publication date 14 June 2001

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1019215116991

zbMATH Keywords

multidimensional normal distributionreliability theorystochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• scientific article; zbMATH DE number 1536494
• Computation of the multivariate normal integral
• Recursive integration methodologies with applications to the evaluation of multivariate normal probabilities

Cited in

(18)

• Subdifferential characterization of probability functions under Gaussian distribution
• Cell-and-bound algorithm for chance constrained programs with discrete distributions
• A joint model of probabilistic/robust constraints for gas transport management in stationary networks
• Second-order differentiability of probability functions
• Two-stage stochastic problems with correlated normal variables: computational experiences
• Consequences of uncertain friction for the transport of natural gas through passive networks of pipelines
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• On the quantification of nomination feasibility in stationary gas networks with random load
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• Optimal Neumann boundary control of a vibrating string with uncertain initial data and probabilistic terminal constraints
• Generalized gradients for probabilistic/robust (probust) constraints
• On probabilistic capacity maximization in a stationary gas network
• (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
• Efficiency of Monte Carlo computations in very high dimensional spaces
• Relaxations for probabilistically constrained stochastic programming problems: review and extensions
• Random descent steps in a probability maximization scheme
• Solving joint chance constrained problems using regularization and Benders' decomposition
• An integer programming approach for linear programs with probabilistic constraints

This page was built for publication: Subroutines for computing normal probabilities of sets -- computer experiences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5933852)